5610807: C21_Portfolio Management (VT IFS)

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Semester:WS 23/24
Scheduled in semester:5
Semester Hours per Week / Contact Hours:56.0 L / 42.0 h
Self-directed study time:138.0 h

Module coordination/Lecturers


Bachelor's degree programme in Business Administration (01.09.2021)


The Investment Process, Financial and Portfolio Mathematics, Risky Assets, Mean-Variance Portfolio Theory, Index-Models, CAPM, APT, Multifactor Models, Equity and Fixed Income Security Analysis, Term Structure of Interest Rates, Efficient Market Hypothesis


    • know the basic asset classes and their respective financial instruments.
    • Know the difference between strategical and tactical asset allocation.
    • list the requirements and repeat the basic concepts of Mean-Variance Theory.
    • know the difference between Sharpe-Ratio and Information-Ratio
    • list the requirements and how to derive the Capital Asset Pricing Model (CAPM).
    • Know how to extend the Single-index-Model to Multi-Factor Models.
    • know the concepts of Arbitrage and how to derive the resulting model of Arbitrage Pricing Theory (APT).
    • understand the basic financial instruments and their pricing.
    • describe the optimal investment process.
    • understand portfolio statistics and underlying statistical concepts.
    • explain the difference between risky and risk-free assets.
    • describe the outcomes of portfolio theory in a risk-return diagram.
    • understand the concept of risk, its decomposition into unsystematic and systematic risk, and the effects of (naïve) diversification.
    • understand the concept of beta in the Single-Index Model.
    • understand the concept of beta and the market risk-premium in context of the Capital Asset Pricing Model.
    • understand the concept of beta and factor portfolios in the Multi-Factor-Model.
    • understand the concept of arbitrage.
    • understand why APT is a much more general concept of market equilibrium than CAPM.
    • understand the working and pricing of fixed income securities.
    • understand the term structure of interest rates and their influence on the prices of fixed income securities.
    • understand the implications of the Efficient Markets Hypothesis on financial markets.
    • calculate the risk and return of financial instruments based on observable market values.
    • calculate the Minimum-Variance-Portfolio.
    • calculate the optimal risky portfolio.
    • calculate the idiosyncratic and the market-specific risk of a portfolio.
    • calculate an optimal portfolio in the context of Single-Index-Models.
    • calculate the Security Market Line in the CAPM and derive arbitrage opportunities thereon.
    • calculate bond yields, duration and other measures of fixed income securities and fixed income portfolios.
    • know how to design an event study to test and identify flaws of the Efficient Market Hypothesis.
    • perform financial statement analysis.
    • estimate Index-Models, and how to derive an optimal portfolio in this context.
    • analyze financial instruments in the common context of Mean-Variance Theory.
    • understand the Two-Fund Separation Theorem and derive the Capital Market Line.
    • find arbitrage opportunities.
    • relate different concepts of market equilibrium.
    • identify and exploit arbitrage opportunities.
    • identify the efficiency of financial markets.
    • combine different assets in an optimal portfolio.
    • relate the concept of the risk-return tradeoff to the optimal allocation of assets.
    • relate the concept of the Efficient Market Theory to observed market conditions.
    • evaluate the different models in the context of changing market conditions.
    • decide upon investment opportunities by evaluating any type of equity and fixed income securities.
    • evaluate equity and fixed income instruments.
    • evaluate optimal allocations of assets in the Markowitz context.
    • know the requirements for the basic models of portfolio optimization and market equilibrium theory.
    • understand the implications and flaws of these models.
    • apply these models in changing market conditions.
    • find and use the model needed in a specific situation/setting.
    • apply the models in individual assignments and in a group business game.
    • evaluate outcomes and discuss them critically.
    • understand the applicability and validity of the different models.
    • evaluate models and decide upon which of the models fits their needs best.
    • understand and critically discuss the arguments of fellow students.
    • work together in small groups to solve assignments and small examples discussed in class.
    • evaluate the solutions of fellow students; explain carefully why they might be right or wrong.
    • understand the flaws and problems of fellow students, reaction without offense.
    • react to other opinions and defend their solution without being offended.
    • listen carefully, read and repeat, practice until they understand the logic and mathematics behind models.
    • work together and motivate students who tend to give up as a reaction to the difficulty of mathematical problems.
    • take responsibility and organize/explain solutions to others who have problems and tend to give up.
    • learn how to use Excel to analyze financial markets
    • apply the software to optimize portfolios in a professional and real-world setting

Admission Requirements

Financial Decision Making

  • Decision Theory (especially Expected utility theory and Mean-Variance theory)
  • Quantitative Analysis


Inskription ab WS23/24
Diese Zugangsvoraussetzungen:

  • Für die Anmeldung zu Modulen der Vertiefungsrichtung müssen die Module Statistik, Wirtschaftsmathematik und English I erfolgreich absolviert sein.
  • Zusätzlich muss für die Anmeldung zur Vertiefung IFS das Modul Finanzierung erfolgreich absolviert sein.

Inskription vor WS23/24
Entweder obige Zugangsvoraussetzungen oder:
  • Für die Anmeldung zu Modulen des fünften Semesters müssen alle Module des ersten Studienjahres erfolgreich absolviert sein.
  • Wahlfächer bleiben für diese Regelungen vollständig ausser Betracht.